Damage sizes, i.e. all damages occurring to a policy and not only those that are reported to an insurance company, are modelled as a linear mixed model. Only those damages that are larger than their deductibles are reported to the company, and this fact should be taken into account when...

A methodology for fitting general stochastic volatility (SV) models that are naturally cast in terms of a positive volatility process is developed. Two well known methods for evaluating the likelihood function, sequential importance sampling and Laplace importance sampling, are combined. The...

In Bai and Paulsen [L. Bai, J. Paulsen, Optimal dividend policies with transaction costs for a class of diffusion processes, SIAM J. Control Optim. 48 (2010) 4987–5008] the optimal dividend problem under transaction costs was analyzed for a rather general class of diffusion processes. It was...